Currency Hedging and Siegel's Paradox: On Black's Universal Hedging Rule*
作者:
Bruno Solnik,
期刊:
Review of International Economics
(WILEY Available online 1993)
卷期:
Volume 1,
issue 2
页码: 180-187
ISSN:0965-7576
年代: 1993
DOI:10.1111/j.1467-9396.1993.tb00014.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
AbstractIn an international multicurrency context, with nonstochastic inflation, equilibrium asset pricing models dictate that all investors should hold a combination of their national risk‐free bill and the world market portfolio partly hedged against currency risk. We show that the equilibrium hedge ratios are not universal and depend on investors' preferences and relative wealth. So‐called universal hedging rules are devoid of solid theoretical underpinning and practical applicabil
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